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D-Fence Defensive Switch to T-Bills and Managed Futures vs 100% SGOV Treasury Bill Cash Holder

Every published figureShow 12 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

bonds, cash-like t-bills, daily rebalance, inverse hedges, managed futures, risk-on/risk-off, tactical asset allocation, trend-following, volatility

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Risk metrics

Calmar ratio, out-of-sample period (out-of-sample)

2.18

45148.96

Maximum drawdown, out-of-sample period (out-of-sample)

-7.05%

-0.00%

Sharpe ratio, out-of-sample period (out-of-sample)

0.92

20.28

Standard deviation, out-of-sample period (out-of-sample)

17.40%

0.18%

Construction

Rebalance frequency

daily

Returns

Return, out-of-sample period (annualized) (out-of-sample)

15.37%

3.61%

Return, out-of-sample period (cumulative) (out-of-sample)

4.23%

0.76%

Return, trailing 1 month (out-of-sample)

3.88%

0.32%

Return, trailing 1 year (out-of-sample)

0.00%

Return, trailing 3 months (out-of-sample)

3.62%

0.00%

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources